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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS CBO/CDO/CLO

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

MAY Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	91.9	96.0	97.3	99.0	100.3	101.5	102.7
Weighted Avg. Price	91.2	95.9	97.3	99.0	100.3	101.5	102.6
Avg. Price Bottom 5 Trades	87.9	95.9	97.3	98.9	100.2	101.4	102.5
2nd Quartile Price	90.6	95.9	97.3	98.9	100.3	101.5	102.5
3rd Quartile Price	92.6	96.0	97.3	99.0	100.3	101.5	102.6
4th Quartile Price	92.7	96.1	97.4	99.0	100.3	101.5	102.6
Avg. Price Top 5 Trades	94.7	96.1	97.4	99.1	100.6	101.5	102.8
Standard Deviation	1.9	0.1	0.1	0.1	0.1	-	0.4
VOLUME OF TRADES (000'S)	2,467,706.0	151,075.0	267,750.0	1,026,753.8	2,160,041.9	725,912.0	141,097.0
NUMBER OF TRADES	77	16	27	53	97	42	21
FHLMC
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-
GNMA
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-

JUNE Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	91.9	96.0	97.3	99.0	100.3	101.4	102.5
Weighted Avg. Price	91.2	96.0	97.3	99.0	100.3	101.5	102.6
Avg. Price Bottom 5 Trades	88.0	95.9	97.3	98.9	100.1	101.4	102.5
2nd Quartile Price	90.6	95.9	97.3	98.9	100.2	101.4	102.5
3rd Quartile Price	92.7	96.1	97.4	99.0	100.3	101.4	102.5
4th Quartile Price	92.7	96.1	97.4	99.0	100.3	101.5	102.6
Avg. Price Top 5 Trades	94.7	96.1	97.4	99.0	100.4	101.5	102.6
Standard Deviation	2.0	0.1	0.1	0.1	0.1	0.1	0.1
VOLUME OF TRADES (000'S)	2,349,692.0	119,410.0	116,445.0	599,182.5	2,566,416.0	1,180,037.0	268,572.0
NUMBER OF TRADES	50	14	18	17	41	25	16
FHLMC
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-
GNMA
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-

JULY Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	-	*	-	*	100.2	101.3	*
Weighted Avg. Price	-	*	-	*	100.2	101.4	*
Avg. Price Bottom 5 Trades	-	*	-	*	100.1	101.3	*
2nd Quartile Price	-	*	-	*	100.1	101.3	*
3rd Quartile Price	-	*	-	*	100.2	101.3	*
4th Quartile Price	-	*	-	*	100.2	101.4	*
Avg. Price Top 5 Trades	-	*	-	*	100.2	101.4	*
Standard Deviation	-	*	-	*	0.1	-	*
VOLUME OF TRADES (000'S)	-	*	-	*	519,250.0	574,500.0	*
NUMBER OF TRADES	-	*	-	*	6	13	*
FHLMC
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-
GNMA
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-

AUGUST Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-
FHLMC
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-
GNMA
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

MAY Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	82.9	89.6	92.5	95.2	97.5	99.4	102.1
Weighted Avg. Price	82.8	89.6	92.6	95.1	97.4	99.4	101.8
Avg. Price Bottom 5 Trades	74.6	89.3	92.2	94.9	97.2	99.3	101.0
2nd Quartile Price	78.8	89.5	92.5	95.1	97.4	99.4	101.2
3rd Quartile Price	82.6	89.6	92.5	95.1	97.5	99.4	101.2
4th Quartile Price	86.1	89.7	92.6	95.2	97.5	99.5	102.9
Avg. Price Top 5 Trades	86.3	90.9	92.7	95.3	97.7	99.7	105.4
Standard Deviation	3.2	0.3	0.1	0.1	0.1	0.1	1.1
VOLUME OF TRADES (000'S)	26,845,219.1	15,111,342.3	9,730,232.5	10,872,486.1	33,836,367.7	49,828,059.5	57,544,273.2
NUMBER OF TRADES	703	295	245	281	789	1,257	1,660
FHLMC
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-
GNMA
AVERAGE PRICE	84.8	90.3	92.6	95.3	97.8	99.7	101.9
Weighted Avg. Price	84.4	90.3	92.6	95.3	97.8	99.6	101.5
Avg. Price Bottom 5 Trades	81.1	90.1	92.5	95.1	97.6	99.3	100.7
2nd Quartile Price	81.2	90.3	92.5	95.3	97.7	99.6	101.0
3rd Quartile Price	84.8	90.3	92.6	95.3	97.8	99.7	102.0
4th Quartile Price	88.1	90.3	92.7	95.4	97.8	99.7	102.3
Avg. Price Top 5 Trades	88.3	90.4	92.7	95.4	98.0	100.8	104.9
Standard Deviation	3.0	0.1	0.1	0.1	0.1	0.2	1.0
VOLUME OF TRADES (000'S)	8,134,189.3	1,988,344.0	661,502.0	3,070,284.8	3,971,341.7	5,749,230.7	6,809,052.1
NUMBER OF TRADES	154	58	40	77	141	317	536

JUNE Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	82.9	89.6	92.6	95.1	97.4	99.4	101.9
Weighted Avg. Price	83.0	89.6	92.6	95.1	97.5	99.4	101.7
Avg. Price Bottom 5 Trades	74.7	89.3	92.3	94.9	97.2	99.2	101.0
2nd Quartile Price	78.9	89.6	92.5	95.1	97.4	99.3	101.1
3rd Quartile Price	82.6	89.6	92.6	95.2	97.4	99.4	101.2
4th Quartile Price	86.1	89.7	92.6	95.2	97.5	99.4	102.7
Avg. Price Top 5 Trades	86.3	89.9	92.8	95.3	97.7	99.5	104.4
Standard Deviation	3.2	0.1	0.1	0.1	0.1	0.1	1.1
VOLUME OF TRADES (000'S)	22,943,391.7	13,206,694.4	9,288,392.5	10,852,836.4	64,301,321.0	47,805,049.3	53,995,181.3
NUMBER OF TRADES	447	171	136	172	375	572	1,105
FHLMC
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-
GNMA
AVERAGE PRICE	85.4	90.2	92.6	95.3	97.7	99.5	101.6
Weighted Avg. Price	86.1	90.2	92.6	95.3	97.7	99.5	101.4
Avg. Price Bottom 5 Trades	81.2	90.1	92.5	95.1	97.5	99.4	100.8
2nd Quartile Price	84.6	90.2	92.6	95.3	97.7	99.5	100.9
3rd Quartile Price	84.9	90.3	92.6	95.3	97.7	99.5	101.0
4th Quartile Price	88.1	90.3	92.7	95.4	97.8	99.6	102.2
Avg. Price Top 5 Trades	88.2	90.4	92.7	95.4	97.8	99.7	103.7
Standard Deviation	2.6	0.1	0.1	0.1	0.1	0.1	0.8
VOLUME OF TRADES (000'S)	1,477,118.9	2,118,617.0	503,748.0	2,337,940.8	2,331,736.4	4,326,071.7	5,238,194.2
NUMBER OF TRADES	48	54	20	50	69	182	304

JULY Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	-	*	92.6	95.1	97.4	99.3	101.5
Weighted Avg. Price	-	*	92.7	95.2	97.5	99.3	101.5
Avg. Price Bottom 5 Trades	-	*	92.5	95.0	97.3	99.2	100.9
2nd Quartile Price	-	*	92.5	95.0	97.4	99.3	101.0
3rd Quartile Price	-	*	92.6	95.1	97.4	99.3	101.1
4th Quartile Price	-	*	92.7	95.2	97.4	99.4	102.6
Avg. Price Top 5 Trades	-	*	92.7	95.2	97.5	99.4	104.3
Standard Deviation	-	*	0.1	0.1	0.1	0.1	0.8
VOLUME OF TRADES (000'S)	-	*	1,440,700.0	862,500.0	35,683,200.0	5,986,750.0	6,891,850.0
NUMBER OF TRADES	-	*	11	23	49	186	337
FHLMC
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-
GNMA
AVERAGE PRICE	-	90.1	92.6	95.2	97.6	99.4	101.2
Weighted Avg. Price	-	90.1	92.6	95.3	97.6	99.4	101.1
Avg. Price Bottom 5 Trades	-	90.0	92.6	95.2	97.5	99.3	100.7
2nd Quartile Price	-	90.0	*	95.2	97.6	99.4	100.7
3rd Quartile Price	-	90.1	*	95.2	97.6	99.4	100.8
4th Quartile Price	-	90.2	*	95.4	97.7	99.5	102.0
Avg. Price Top 5 Trades	-	90.2	92.6	95.3	97.7	99.5	103.1
Standard Deviation	-	0.1	-	0.1	0.1	0.1	0.7
VOLUME OF TRADES (000'S)	-	184,000.0	84,000.0	173,000.0	406,000.0	900,650.0	1,836,350.0
NUMBER OF TRADES	-	22	6	10	33	94	166

AUGUST Settlement

METRIC	COUPON
	<= 3.0	3.5	4	4.5	5	5.5	> 5.5
UMBS
AVERAGE PRICE	-	-	*	*	-	-	-
Weighted Avg. Price	-	-	*	*	-	-	-
Avg. Price Bottom 5 Trades	-	-	*	*	-	-	-
2nd Quartile Price	-	-	*	*	-	-	-
3rd Quartile Price	-	-	*	*	-	-	-
4th Quartile Price	-	-	*	*	-	-	-
Avg. Price Top 5 Trades	-	-	*	*	-	-	-
Standard Deviation	-	-	*	*	-	-	-
VOLUME OF TRADES (000'S)	-	-	*	*	-	-	-
NUMBER OF TRADES	-	-	*	*	-	-	-
FHLMC
AVERAGE PRICE	-	-	-	-	-	-	-
Weighted Avg. Price	-	-	-	-	-	-	-
Avg. Price Bottom 5 Trades	-	-	-	-	-	-	-
2nd Quartile Price	-	-	-	-	-	-	-
3rd Quartile Price	-	-	-	-	-	-	-
4th Quartile Price	-	-	-	-	-	-	-
Avg. Price Top 5 Trades	-	-	-	-	-	-	-
Standard Deviation	-	-	-	-	-	-	-
VOLUME OF TRADES (000'S)	-	-	-	-	-	-	-
NUMBER OF TRADES	-	-	-	-	-	-	-
GNMA
AVERAGE PRICE	-	*	*	*	-	-	-
Weighted Avg. Price	-	*	*	*	-	-	-
Avg. Price Bottom 5 Trades	-	*	*	*	-	-	-
2nd Quartile Price	-	*	*	*	-	-	-
3rd Quartile Price	-	*	*	*	-	-	-
4th Quartile Price	-	*	*	*	-	-	-
Avg. Price Top 5 Trades	-	*	*	*	-	-	-
Standard Deviation	-	*	*	*	-	-	-
VOLUME OF TRADES (000'S)	-	*	*	*	-	-	-
NUMBER OF TRADES	-	*	*	*	-	-	-

* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS List or Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].

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For each region, the evaluation system is operational during the Extended Hours. In addition, the evaluation desks are staffed during the Core Hours providing further system inputs and oversight.

	Core Hours	Extended Hours
ASIA Corps & Sovs (AU)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Corps & Sovs (JP)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Corps & Sovs (NZ)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Corps & Sovs (Other Currencies)	9:00 AM HKT – 6:00 PM HKT	3:00 AM HKT – 12:00 AM HKT
ASIA Money Markets (AU)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Money Markets (JP)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Money Markets (NZ)	8:30 AM AEDT – 6:00 PM AEDT	3:00 AM AEDT – 12:00 AM AEDT
ASIA Money Markets (Other Currencies)	9:00 AM HKT – 6:00 PM HKT	3:00 AM HKT – 12:00 AM HKT
EMEA Corps & Sovs	8:00 AM GMT/BST – 6:00 PM GMT/BST	3:00 AM GMT/BST – 12:00 AM GMT/BST
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